I'm using XP and I don't like the one that comes with it but I don't want a really fancy one that is going to take up a lot of my resources.
You should use the one that Windows XP comes with. *ICF* Internet Connection Firewall. It gives you the options to set rules for your firewall making it totally configureable for your needs. No need for 3rd party software. I myself currently run ICF as my firewall with its set of rules. By default you can check the log out here C:\WINDOWS\pfirewall.log. I dont recommend downloading BlackIce as my personal firewall.